payments shocks, and contagion. Our findings suggest that the observed comovement of the two markets can be primarily … partners. We also find evidence of contagion effects between the Drachma and Lira markets, but not between the stock markets …

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …

transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …